Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0008 |
| Annualized Std Dev | 0.0844 |
| Annualized Sharpe (Rf=0%) | -0.0098 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3544.0000 |
| NAs | 1.0000 |
| Minimum | -0.0379 |
| Quartile 1 | -0.0028 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0028 |
| Maximum | 0.0406 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0053 |
| Skewness | 0.0222 |
| Kurtosis | 5.0201 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0038 |
| Gain Deviation | 0.0037 |
| Loss Deviation | 0.0037 |
| Downside Deviation (MAR=210%) | 0.0098 |
| Downside Deviation (Rf=0%) | 0.0037 |
| Downside Deviation (0%) | 0.0037 |
| Maximum Drawdown | 0.2271 |
| Historical VaR (95%) | -0.0082 |
| Historical ES (95%) | -0.0120 |
| Modified VaR (95%) | -0.0082 |
| Modified ES (95%) | -0.0124 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2011-08-29 | 2019-09-30 | -0.2271 | 2731 | 697 | 2034 |
| 2020-03-20 | 2021-01-06 | NA | -0.1424 | 253 | 202 | NA |
| 2007-06-15 | 2008-04-16 | 2008-10-15 | -0.1189 | 338 | 211 | 127 |
| 2019-10-01 | 2020-03-09 | 2020-03-13 | -0.0502 | 114 | 110 | 4 |
| 2020-03-16 | 2020-03-16 | 2020-03-18 | -0.0321 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 0.1 | -0.3 | 0.6 | 0 | -0.6 | 0 | -0.2 | 0.1 | 0.3 | 0.8 | 0.6 | 1.5 |
| 2008 | 0.4 | 0 | 1.6 | 0.8 | -0.1 | -0.1 | 0.3 | 0 | 0.4 | 1.5 | 0.6 | 0.4 | 6 |
| 2009 | 0.6 | 0.3 | 0.1 | -0.2 | -0.3 | -0.5 | -1.3 | 0.6 | 0.7 | 0.6 | -0.5 | 0.2 | 0.3 |
| 2010 | -0.4 | 0.3 | -0.6 | -0.2 | 0 | -1.8 | 0 | -0.8 | -0.8 | 0.2 | -0.9 | -0.9 | -5.7 |
| 2011 | -1 | 0.1 | -0.1 | 0 | 0.2 | -0.1 | 0.5 | 0.4 | 1 | 1.1 | 0 | -0.2 | 2 |
| 2012 | -0.5 | 0 | -0.1 | 0.1 | -0.3 | -1.4 | 0.7 | -0.6 | -0.2 | 0.1 | -0.1 | 0.1 | -2.1 |
| 2013 | -0.1 | 0.3 | -0.4 | -0.1 | 0.3 | -0.2 | 0.8 | 0.1 | -0.1 | 0.6 | -0.1 | 0.1 | 1.3 |
| 2014 | 0.3 | -0.7 | 0 | 0 | -0.2 | 0 | -0.1 | 0.2 | -0.1 | 0.8 | -0.5 | 0.3 | 0 |
| 2015 | 0.1 | 0 | 0 | 0.5 | 0.6 | 0.8 | -0.3 | -0.6 | 0 | -0.4 | -0.5 | 0.5 | 0.8 |
| 2016 | -0.7 | 0 | 0 | -0.7 | -0.6 | -0.3 | 0.3 | -0.4 | 0 | -0.5 | -0.5 | -0.3 | -3.7 |
| 2017 | 0.1 | 0.7 | 0 | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | -0.1 | 0.2 | -0.1 | -0.4 | 1.1 |
| 2018 | -0.5 | -0.3 | -0.1 | 0.7 | 0.2 | -0.8 | 0.1 | 0.4 | 0.2 | -0.7 | 0.4 | -0.2 | -0.7 |
| 2019 | 0 | 0.4 | -0.1 | 0.1 | -0.4 | 0.7 | -0.3 | 0.4 | -0.3 | 0 | -0.1 | -0.3 | 0.1 |
| 2020 | -0.4 | -0.3 | 0.6 | 0.1 | -0.6 | -0.2 | 0.6 | 0.2 | -0.2 | 0.1 | -0.9 | 0.3 | -0.6 |
| 2021 | 0.5 | 0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-20 25.1 SPY 146. 0.0021 0.0181 0.0225 0.043 0.131 0.263 0.317 GLD 65.3 -0.0158 -0.0055
2 2007-02-21 25.1 SPY 146. -0.0004 0.0091 0.0253 0.0399 0.133 0.267 0.342 GLD 67.3 0.0302 0.0219
3 2007-02-22 25.1 SPY 146. -0.0008 0.0018 0.0215 0.0388 0.135 0.270 0.319 GLD 67.2 -0.0019 0.0118
4 2007-02-23 25.0 SPY 145. -0.0039 -0.0034 0.0094 0.0342 0.124 0.268 0.342 GLD 67.7 0.0085 0.0197
5 2007-02-26 25.0 SPY 145. -0.0009 -0.0038 0.0205 0.0322 0.125 0.269 0.324 GLD 68.1 0.0056 0.0262
6 2007-02-27 24.9 SPY 140. -0.0391 -0.0448 -0.0187 -0.0101 0.078 0.214 0.252 GLD 65.4 -0.0395 0.0015
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
